Mean-field forward and backward SDEs with jumps—Associated nonlocal quasi-linear integral-PDEs
主 题: Mean-field forward and backward SDEs with jumps—Associated nonlocal quasi-linear integral-PDEs
报告人: 李娟教授 (山东大学)
时 间: 2017-05-03 15:00-16:00
地 点: 理科1号楼1560
Abstract: In this talk we consider a decoupled mean-field backward stochastic differential equation (BSDE) driven by a Brownian motion and an independent Poisson random measure. The existence and the uniqueness of the solution $(Y^{t,x,P_\xi},Y^{t,\xi})$ of the decoupled equation are proved. We prove that under our assumptions the value function $V(t,x,P_\xi):=Y_t^{t,x,P_\xi}$ is regular, and it is the unique classical solution of the related quasi-linear integral-partial differential equation of mean-field type with the help of a new It\^{o} formula.
报告人介绍: 李娟，山东大学（威海）数学与统计公司教授、博士生导师。研究方向：随机分析、随机控制、随机微分对策与金融数学。曾获国家自然科学基金优秀青年基金、入选教育部新世纪优秀人才支持计划。
